An iterative algorithm for the Cramer-von Mises distance estimator
by Jinhyo Kim and Sangyeol Lee
.
Abstract:
This article concerns the numerical computing of the Cramer-von Mises
distance estimator, which is known to have the desirable statistical properties
such as the robustness and efficiency. Here, it is shown that the usual
optimization algorithms, such as the Newton-Raphson method and the Bisection
method, fail to find the estimator. As an alternative, a derivative-free grid-type
algorithm, the Dichotomous Search method, is considered. The simulation results
show that the Dichotomous Search method tends to find the estimator correctly.
Key Words:
Cramer-von Mises distance, Minimum distance estimator, Unimodal,
Derivative-free, Dichotomous Search, Convergence rate
Authors:
Jinhyo Kim,
jinkim@stats.snu.ac.kr
Sangyeol Lee,
sylee@stats.snu.ac.kr
Editor:
John P. Hinde
,
J.P.Hinde@exeter.ac.uk
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